Strong regularization by Brownian noise propagating through a weak Hörmander structure (Q2089751)
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English | Strong regularization by Brownian noise propagating through a weak Hörmander structure |
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Strong regularization by Brownian noise propagating through a weak Hörmander structure (English)
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24 October 2022
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In this paper the problem of strong regularization of a system of ordinary differential equation by Brownian noise propagating is considered. It is acknowledged that a noise ``regularizes'' an ill posed system if the resulting perturbed equation has a unique solution. Under suitable Hölder regularity conditions for the associated drift term the authors prove that there exits a unique solution for a class of degenerate stochastic differential equations (SDEs) of weak Hörmander type. It is considered the degenerate SDE of Kolmogorov type: \begin{align*} dX^1_t &=F_1(t,X^1_t ,\dots,X^n_t)dt + \sigma(t,X^1_t , \dots ,X^n_t )dW_t , \\ dX^2_t &=F_2(t,X^1_t ,\dots,X^n_t )dt, \\ dX^3_t &=F_2(t,X^2_t ,\dots,X^n_t )dt, \\ & \ldots \\ dX^n_t &=F_n(t,X^{n-1}_t ,X^n_t )dt, \end{align*} for \(t \geq 0\), where \(W\) is a Brownian motion.
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degenerate SDE
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regularization
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Brownian motion
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